STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS

DOI10.1017/S0266466601172038zbMath1052.62538OpenAlexW2010318221MaRDI QIDQ2739264

Pentti Saikkonen

Publication date: 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466601172038

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Residual autocorrelation testing for vector error correction models ⋮ Frequency domain estimation of temporally aggregated Gaussian cointegrated systems ⋮ A nonparametric test for changing trends

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